Quantile-frequency connectedness between green assets, crude oil, gold, and BRICS stock markets

Purpose This study aims to examine the interconnectedness between BRICS nations' stock markets, key commodities (oil and gold), and green assets (including ESG-based equity, green bonds, and clean energy) across different market conditions and investment periods. Design/methodology/approach This study employs a quantile frequency connectedness approach that integrates the quantile connectedness approach (Ando et al., 2022) with the frequency connectedness technique of Baruník and Křehlík (2018), as suggested by Chatziantoniou et al. (2022). This study employs three distinct portfolio strategies: the MVP (Markowitz, 1952), MCP (Christoffersen et al., 2014), and MCoP (Broadstock et al., 2022) approaches, to calculate the multivariate portfolio optimal weight across mean, bear, and bull modes, as well as the hedging effectiveness index. Findings The findings reveal that market connectedness is frequency-dependent and particularly strong during bearish and bullish periods. An asymmetric volatility spillover is observed between markets, with left-tail connectedness surpassing right-tail connectedness. Additionally, short-term connectedness is more prominent than long-term connectedness. During bear markets, the Russian stock market acts as a receiver in both short and long terms, while the ESG index serves as a transmitter across various frequencies. Bivariate portfolio analysis results are generally insignificant, except for clean energy assets, which prove to be a more effective hedge for all assets. Originality/value The study employs a new quantile time-frequency connectedness method. This methodology provides significant insight into the interconnections among equity markets, commodities, and green assets over multiple time frames and across various market states, including bear, normal, and bull scenarios.